Trend-Following Backtester · Guide · backtest 한국어
equity · US
Unicycive Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Unicycive Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.6%, MDD -36.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -36.6%, drawdown -96.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.6%, MDD -36.6%, Sharpe 0.67, 6% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 55.2%p higher than buy and hold, while drawdown improves by 59.4%p (CAGR 18.6%, MDD -36.6%, exposure 6%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=21, mult=3.3 |
18.6% | -36.6% | 0.67 | 0.51 | 2.4x | 4 | 6% |
| 볼린저 밴드 돌파 n=37, k=3 |
18.0% | -43.8% | 0.60 | 0.41 | 2.3x | 8 | 11% |
| Supertrend period=19, mult=3.6 |
2.3% | -60.2% | 0.32 | 0.04 | 1.1x | 14 | 33% |
| Donchian 채널 돌파 entryN=59, exitN=19 |
0.4% | -61.1% | 0.28 | 0.01 | 1.0x | 12 | 23% |
| SMA 크로스오버 fast=40, slow=47 |
-7.4% | -72.7% | 0.24 | -0.10 | 0.7x | 42 | 41% |
| ROC 모멘텀 n=36, threshold=-0.03 |
-13.6% | -81.9% | 0.21 | -0.17 | 0.5x | 84 | 46% |
| ADX / DI 방향성 period=32, threshold=19 |
-0.1% | -53.7% | 0.19 | -0.00 | 1.0x | 14 | 14% |
| EMA 크로스오버 fast=28, slow=77 |
-13.1% | -77.3% | 0.10 | -0.17 | 0.5x | 14 | 35% |
| MACD fast=18, slow=34, signal=16 |
-24.1% | -87.6% | 0.02 | -0.27 | 0.2x | 64 | 52% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-18.6% | -76.4% | -0.01 | -0.24 | 0.4x | 60 | 36% |
| Buy and hold | -36.6% | -96.0% | 0.14 | -0.38 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average